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Inflation and individual equities

par Ang, Andrew;Briere, Marie ;Signori, Ombretta
Référence Financial analysts journal, 68, 4, page (36-55)
Publication Publié, 2012-07

Article révisé par les pairs

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Résumé :

Since 1990, stocks zvith strong inflation-hedging abilities have had higher average returns than stocks zvith low inflation betas and have tended to be draum from the technology and oil/gas sectors. The authors found substantial time variation among stock inflation betas, which makes it difficult to construct portfolios from stocks that are strong out-of-sample inflation hedges. This finding holds for sector portfolios, portfolios constructed on past-inflation betas, and portfolios constructed from high-dividend-paying stocks. © 2012 CFA Institute.